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ERN: Monetary Policy (Topic)最新文献

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The Interplay between Financial Conditions and Monetary Policy Shocks 金融状况与货币政策冲击之间的相互作用
ERN: Monetary Policy (Topic) Pub Date : 2016-10-14 DOI: 10.2139/ssrn.2852483
M. Bassetto, Luca Benzoni, Trevor Serrao
{"title":"The Interplay between Financial Conditions and Monetary Policy Shocks","authors":"M. Bassetto, Luca Benzoni, Trevor Serrao","doi":"10.2139/ssrn.2852483","DOIUrl":"https://doi.org/10.2139/ssrn.2852483","url":null,"abstract":"We study the interplay between monetary policy and financial conditions shocks. Such shocks have a significant and similar impact on the real economy, though with different degrees of persistence. The systematic fed funds rate response to a financial shock contributes to bringing the economy back towards trend, but a zero lower bound on policy rates can prevent this from happening, with a significant cost in terms of output and investment. In a retrospective analysis of the U.S. economy over the past 20 years, we decompose the realization of economic variables into the contributions of financial, monetary policy, and other shocks.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-10-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131433015","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 9
Macroeconomic Bond Risks at the Zero Lower Bound 零下限下的宏观经济债券风险
ERN: Monetary Policy (Topic) Pub Date : 2016-08-03 DOI: 10.2139/ssrn.2820207
Nicole Branger, Christian Schlag, Ivan Shaliastovich, Dongho Song
{"title":"Macroeconomic Bond Risks at the Zero Lower Bound","authors":"Nicole Branger, Christian Schlag, Ivan Shaliastovich, Dongho Song","doi":"10.2139/ssrn.2820207","DOIUrl":"https://doi.org/10.2139/ssrn.2820207","url":null,"abstract":"Close-to-zero interest rates challenge standard economic models in which zero lower bound (ZLB) is absent. We estimate a recursive utility model which features time-varying latent expected real growth, expected inflation, and stochastic inflation volatility. Using an approximate solution to bond prices, we show that the ZLB model successfully captures interest rates in a ZLB period, without a deterioration in fit to rates in normal times. Incorporating ZLB lowers the estimates of expected inflation and increases inflation volatility. It leads to large, negative and volatile shadow rates, large and volatile shadow risk premia, and small and volatile lift-off probabilities.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125934737","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 10
Central Bank Intervention, Exchange Rate Regime and the Purchasing Power Parity 央行干预、汇率制度与购买力平价
ERN: Monetary Policy (Topic) Pub Date : 2016-08-01 DOI: 10.1111/twec.12372
Luke Lin, Chun I. Lee
{"title":"Central Bank Intervention, Exchange Rate Regime and the Purchasing Power Parity","authors":"Luke Lin, Chun I. Lee","doi":"10.1111/twec.12372","DOIUrl":"https://doi.org/10.1111/twec.12372","url":null,"abstract":"Motivated by the argument that central bank intervention leads to non‐linear exchange rate adjustment processes, we examine purchase power parity (PPP) by applying quantile unit root tests to the exchange rates of the New Taiwan Dollar (NTD) vis‐a‐vis seven Asian currencies. We show that exchange rate regime matters in determining whether PPP holds. While PPP holds overwhelmingly during the period when the NTD is under the fixed exchange rate regime, it is present only for some exchange rates during the managed floating rate regime. For exchange rates exhibiting mean reversion, the reversion occurs mainly when the shocks are large. In contrast to conclusion in the literature, our test results show little evidence of asymmetric mean reversion between positive and negative shocks.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134080119","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Assessing the Appropriateness of Zero and Negative Interest Rate Regimes: Recent Developments and Comparative Analyses 评估零利率和负利率制度的适当性:最近的发展和比较分析
ERN: Monetary Policy (Topic) Pub Date : 2016-07-22 DOI: 10.2139/SSRN.2813262
Marianne Ojo D Delaney PhD, S. Newton
{"title":"Assessing the Appropriateness of Zero and Negative Interest Rate Regimes: Recent Developments and Comparative Analyses","authors":"Marianne Ojo D Delaney PhD, S. Newton","doi":"10.2139/SSRN.2813262","DOIUrl":"https://doi.org/10.2139/SSRN.2813262","url":null,"abstract":"This paper explores the widely held theoretical view that zero interest rates should result in lower borrowing costs – propelling the demand for borrowing, “the theory and practice of monetary policy”, against the practical and broader acknowledgements that further negative consequences, namely bank runs - as well as the possibility of the occurrence of concerns of banks becoming more prone to the probabilities of greater unwillingness to lend, could occur. The latter negative consequence of banks’ unwillingness to lend, being considered to arise where “banks absorb the cost of negative rates themselves” such that this phenomenon “squeezes” the profit margin between their lending and deposit rates. However, as will be illustrated, different sources and authorities on the literature agree that it is still too early to draw conclusions on the impact of negative interest rates – be it in respect of i) whether it will work, ii) its wider impact and repercussions for the economy – as well as those economies where the policy has not yet been implemented (even where the policy is on the cards – namely in jurisdictions such as the United States), as well as (iii) its impact on the behavior of individuals (households) and firms. In exploring the appropriateness of its adoption – given prevailing global financial conditions and the economic environment, the paper also contributes to the extant literature from a theoretical, practical, empirical, as well as comparative jurisdictional perspective.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130055985","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Modelling Interest Payments for Macroeconomic Assessment 模拟宏观经济评估的利息支付
ERN: Monetary Policy (Topic) Pub Date : 2016-06-30 DOI: 10.2139/ssrn.2802480
C. Girón, Marta Morano, Enrique M. Quilis, Daniel Santabárbara, Carlos Torregrosa
{"title":"Modelling Interest Payments for Macroeconomic Assessment","authors":"C. Girón, Marta Morano, Enrique M. Quilis, Daniel Santabárbara, Carlos Torregrosa","doi":"10.2139/ssrn.2802480","DOIUrl":"https://doi.org/10.2139/ssrn.2802480","url":null,"abstract":"In this paper we present a methodology designed to estimate the future path of the interest payments of central government. The basic idea is to represent in a compact way the joint dynamics of debt liabilities and interest payments as a function of four elements: the initial outstanding amounts of debt, the expected primary funding needs, the expected yield curves and the expected issuance strategy to be followed by the government. The procedure is amenable to scenario-based simulation and produces a detailed representation of the debt term structure. We provide results for the period 2015-2025.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114535782","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 39
Momentum and Market Instability 势头与市场不稳定
ERN: Monetary Policy (Topic) Pub Date : 2016-05-28 DOI: 10.2139/ssrn.2785995
N. Cao, Valentina Galvani
{"title":"Momentum and Market Instability","authors":"N. Cao, Valentina Galvani","doi":"10.2139/ssrn.2785995","DOIUrl":"https://doi.org/10.2139/ssrn.2785995","url":null,"abstract":"This paper establishes a strong link between the profitability of the momentum strategy and market instability, as gauged by flight-to-quality episodes. Momentum gains are shown to be roughly ten times larger during flight episodes. Further, flights are significantly associated with larger momentum profits even after controlling for indicators of asset performance, volatility, illiquidity, market state, and monetary policy. This paper's results also show that illiquidity shocks appear to diversely affect different types of flights, as predicted in Vayanos (2004). Finally, monetary policy announcements, past and contemporaneous, are shown to decrease the incidence of market instability.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128369392","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
The Effectiveness of Monetary Policy in China: Evidence from a Qual VAR 中国货币政策有效性:来自等值VAR的证据
ERN: Monetary Policy (Topic) Pub Date : 2016-05-10 DOI: 10.2139/ssrn.2778404
Hongyi Chen, Kenneth K. Chow, Peter Tillmann
{"title":"The Effectiveness of Monetary Policy in China: Evidence from a Qual VAR","authors":"Hongyi Chen, Kenneth K. Chow, Peter Tillmann","doi":"10.2139/ssrn.2778404","DOIUrl":"https://doi.org/10.2139/ssrn.2778404","url":null,"abstract":"Analyzing monetary policy in China is not straightforward because the People's Bank of China (PBoC) implements policy by using more than one instrument. In this paper we use a Qual VAR, a conventional VAR system augmented with binary policy announcements, to extract a latent indicator of tightening and easing pressure, respectively, for China. The model acknowledges that policy announcements are endogenous and summarizes policy by a single indicator. The Qual VAR allows us to study the impact of monetary policy in terms of unexpected changes in these latent variables, which we identify using sign restrictions. We show that the transmission of monetary policy impulses to the rest of the economy is similar to the transmission process in advanced economies in terms of both output growth and inflation despite a very different monetary policy framework. We find that bank loans are not sensitive to policy changes, which implies that window guidance is still a necessary policy tool. We also find that the impact of monetary policy shocks is asymmetric in terms of asset prices, that is, the asset price reactions differ in their sensitivity to tightening shocks and easing shocks, respectively. In particular, an easing of monetary conditions boosts stock prices while a tightening shock leaves stock prices unaffected. This shows that monetary policy is not a suitable tool to stabilize asset prices, which raises implications for financial stability and macroprudential policy.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"255 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133356948","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 67
The Interest Rate Effects of Government Bond Purchases Away from the Lower Bound 远离下限的政府债券购买的利率效应
ERN: Monetary Policy (Topic) Pub Date : 2016-05-01 DOI: 10.2139/ssrn.2781495
Rafael Barros de Rezende
{"title":"The Interest Rate Effects of Government Bond Purchases Away from the Lower Bound","authors":"Rafael Barros de Rezende","doi":"10.2139/ssrn.2781495","DOIUrl":"https://doi.org/10.2139/ssrn.2781495","url":null,"abstract":"I analyze the recent experience of unconventional monetary policy in Sweden to study the interest rate transmission mechanisms of government bond purchases when interest rates are not constrained by a lower bound. Using dynamic term structure models and event study regressions I find that government bond purchases have important portfolio balance and signaling effects. The signaling channel operates mainly by lowering short-rate expectations in the intermediate segment of the yield curve, while the portfolio balance channel is effective in lowering longer maturity term premia. In addition, I find that target interest rate policy and government bond purchases operate in different segments of the yield curve. This suggests that a combination of the two policies can be used to lower interest rates across the whole maturity spectrum, making monetary policy more expansionary.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"516 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133304100","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
The Role of Learning for Asset Prices and Business Cycles 学习对资产价格和商业周期的作用
ERN: Monetary Policy (Topic) Pub Date : 2016-01-20 DOI: 10.17016/FEDS.2016.019r1
Fabian Winkler
{"title":"The Role of Learning for Asset Prices and Business Cycles","authors":"Fabian Winkler","doi":"10.17016/FEDS.2016.019r1","DOIUrl":"https://doi.org/10.17016/FEDS.2016.019r1","url":null,"abstract":"I examine the implications of learning-based asset pricing in a model in which firms face credit constraints that depend partly on their market value. Agents learn about stock prices, but have conditionally model-consistent expectations otherwise. The model jointly matches key asset price and business cycle statistics, while the combination of financial frictions and learning produces powerful feedback between asset prices and real activity, adding substantial amplification. The model reproduces many patterns of forecast error predictability in survey data that are inconsistent with rational expectations. A reaction of the monetary policy rule to asset price growth increases welfare under learning.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124656360","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 22
Crisis, Contagion and International Policy Spillovers Under Foreign Ownership of Banks 外资银行所有权下的危机、传染与国际政策溢出
ERN: Monetary Policy (Topic) Pub Date : 2016-01-14 DOI: 10.2139/ssrn.2804968
M. Brzoza‐Brzezina, Marcin Kolasa, Krzysztof Makarski
{"title":"Crisis, Contagion and International Policy Spillovers Under Foreign Ownership of Banks","authors":"M. Brzoza‐Brzezina, Marcin Kolasa, Krzysztof Makarski","doi":"10.2139/ssrn.2804968","DOIUrl":"https://doi.org/10.2139/ssrn.2804968","url":null,"abstract":"This paper checks how international spillovers of shocks and policies are modified when banks are foreign owned. To this end we build a twocountry macroeconomic model with banking sectors that are owned by residents of one (big and foreign) country. Consistently with empirical findings, we find that foreign ownership of banks amplifies spillovers from foreign shocks. It also strenghtens the international transmission of monetary and macroprudential policies. We next replicate the financial crisis in the euro area and show how, by preventing bank capital outflow in 2009, the Polish regulatory authorities managed to reduce its contagion to Poland. We also show that under foreign bank ownership such policy is strongly prefered to a recapitalization of domestic banks.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"16 1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116786153","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 20
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